Abstract
The objective of this paper is to analyze the impact of business cycles on the monthly seasonality of fixed income securities. In general, the results suggest that the average monthly returns of fixed income securities during economic contractions are higher than during economic expansions. For the government and high-grade corporate bonds, average returns in November are significantly higher in the periods of economic contractions. In addition, no monthly seasonality is found during economic expansions. For the low-grade corporate bond returns, January effect is found in both economic expansions and contractions periods.
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